Portfolio Performance Report - 120d Window
6 Jan, 1999 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (120d)	BL (120d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	94.0%	99.0%

Cumulative Return	408.02%	320.26%	539.04%	713.34%	416.4%
CAGR﹪	6.69%	5.89%	7.67%	8.71%	6.76%

Sharpe	0.42	0.4	0.48	0.52	0.44
Prob. Sharpe Ratio	98.09%	97.76%	99.14%	99.48%	98.57%
Smart Sharpe	0.39	0.38	0.45	0.48	0.41
Sortino	0.58	0.57	0.67	0.71	0.61
Smart Sortino	0.55	0.53	0.63	0.67	0.58
Sortino/√2	0.41	0.4	0.48	0.51	0.43
Smart Sortino/√2	0.39	0.38	0.45	0.47	0.41
Omega	1.08	1.08	1.09	1.1	1.09

Max Drawdown	-59.82%	-53.78%	-55.19%	-53.54%	-57.42%
Max DD Date	2008-11-20	2009-03-09	2009-03-09	2008-09-17	2008-11-20
Max DD Period Start	2007-11-01	2007-10-10	2007-10-10	2007-11-01	2007-11-01
Max DD Period End	2011-04-26	2013-03-04	2012-08-15	2010-09-28	2010-11-01
Longest DD Days	1453	2450	2404	2630	1403
Volatility (ann.)	20.79%	18.55%	19.53%	20.15%	19.05%
Calmar	0.11	0.11	0.14	0.16	0.12
Skew	-0.28	-0.11	-0.01	-0.5	-0.27
Kurtosis	12.33	12.25	11.16	11.56	14.27

Expected Daily	0.03%	0.02%	0.03%	0.03%	0.03%
Expected Monthly	0.54%	0.48%	0.62%	0.7%	0.55%
Expected Yearly	6.45%	5.68%	7.39%	8.4%	6.52%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-2.12%	-1.89%	-1.99%	-2.05%	-1.94%
Expected Shortfall (cVaR)	-3.82%	-3.82%	-3.82%	-3.82%	-3.82%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.08	1.08	1.09	1.1	1.09
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.93	0.96	0.92	0.96	0.93
Outlier Win Ratio	3.79	4.3	4.12	4.22	4.31
Outlier Loss Ratio	3.77	4.31	3.98	3.66	4.14

MTD	2.59%	2.57%	5.17%	4.8%	2.54%
3M	7.06%	10.94%	12.06%	7.65%	6.12%
6M	9.24%	14.12%	16.79%	12.77%	7.52%
YTD	0.74%	3.83%	6.85%	7.36%	0.38%
1Y	11.09%	18.42%	29.36%	17.29%	8.6%
3Y (ann.)	3.56%	6.31%	10.76%	25.06%	2.0%
5Y (ann.)	5.78%	9.1%	14.72%	17.8%	4.43%
10Y (ann.)	3.72%	9.29%	12.72%	8.16%	3.17%
All-time (ann.)	6.69%	5.89%	7.67%	8.71%	6.76%

Best Day	14.86%	11.37%	14.52%	14.98%	13.66%
Worst Day	-12.09%	-12.93%	-10.94%	-12.18%	-11.42%
Best Month	16.17%	13.95%	12.7%	23.07%	16.19%
Worst Month	-25.09%	-14.06%	-16.52%	-18.71%	-22.76%
Best Year	56.84%	26.5%	32.31%	66.91%	58.45%
Worst Year	-44.11%	-33.84%	-36.8%	-43.56%	-41.77%

Avg. Drawdown	-3.4%	-2.3%	-2.04%	-3.87%	-2.84%
Avg. Drawdown Days	55	46	32	61	50
Recovery Factor	-	-	-	-	-
Ulcer Index	0.16	0.14	0.17	0.21	0.15
Serenity Index	0.39	0.34	0.39	0.35	0.38

Avg. Up Month	4.8%	3.61%	3.81%	5.39%	4.4%
Avg. Down Month	-5.91%	-4.53%	-4.66%	-5.24%	-5.37%
Win Days	53.4%	53.12%	54.29%	54.1%	53.52%
Win Month	55.96%	60.93%	62.91%	57.79%	59.46%
Win Quarter	62.38%	65.35%	70.3%	61.22%	62.63%
Win Year	65.38%	69.23%	76.92%	65.38%	65.38%

EOY Returns

Year	EQW	^DJI	SPY	MV (120d)	BL (120d)
1999	23.68	22.39	19.28	12.74	8.60
2000	-13.41	-4.22	-7.41	-18.64	-14.32
2001	-8.20	-5.12	-10.11	-1.00	-7.49
2002	-9.89	-15.11	-20.83	-16.86	-6.17
2003	41.59	23.95	26.20	52.27	46.89
2004	26.02	3.69	10.78	37.58	24.48
2005	16.82	-0.08	5.25	17.50	13.69
2006	29.10	15.58	15.21	29.74	30.29
2007	19.97	7.29	6.28	31.47	20.43
2008	-47.06	-34.13	-37.36	-51.38	-43.93
2009	50.14	20.17	26.93	53.06	49.95
2010	20.58	11.76	15.63	24.36	20.57
2011	-16.31	7.59	4.53	-34.86	-11.31
2012	22.81	7.69	15.64	7.24	20.93
2013	9.37	24.03	28.62	18.33	14.29
2014	-4.15	7.84	13.27	-10.87	-3.83
2015	-10.85	-1.07	2.41	-9.97	-6.83
2016	9.23	13.38	12.18	16.85	6.07
2017	24.15	22.61	19.88	19.62	24.04
2018	-12.80	-4.20	-3.23	-2.55	-13.08
2019	17.45	20.94	27.97	3.91	16.55
2020	11.12	13.82	22.47	5.97	8.28
2021	8.83	17.94	26.11	19.53	9.51
2022	-6.52	-7.24	-17.13	48.73	-10.15
2023	14.43	13.49	24.11	0.82	11.97
2024	0.83	3.81	6.73	7.22	0.45

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-11-01	2011-04-26	-59.82	1273
2000-01-04	2003-12-26	-41.42	1453
2018-01-29	2020-12-16	-41.02	1053
2014-07-07	2017-07-25	-31.03	1115
2011-05-02	2013-01-18	-27.33	628
2022-01-13	2023-07-25	-23.27	559
2006-05-10	2006-10-25	-18.31	169
2007-07-16	2007-09-28	-14.38	75
2013-05-09	2013-09-17	-13.41	132
2004-02-18	2004-09-20	-13.21	216

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (120d)

Started	Recovered	Drawdown	Days
2007-11-01	2010-09-28	-53.54	1063
2000-03-06	2004-01-02	-52.66	1398
2018-04-12	2021-04-23	-40.50	1108
2010-11-08	2018-01-19	-38.80	2630
2022-04-08	2022-09-09	-18.17	155
2023-01-04	2024-01-26	-17.84	388
2007-07-20	2007-09-26	-16.75	69
2022-09-13	2022-10-14	-16.09	32
2006-05-11	2006-10-03	-15.11	146
1999-07-06	1999-11-24	-14.03	142

BL (120d)

Started	Recovered	Drawdown	Days
2007-11-01	2010-11-01	-57.42	1097
2018-01-29	2021-01-04	-38.59	1072
2000-01-04	2003-11-06	-37.26	1403
2011-05-02	2013-04-26	-27.00	726
2014-07-07	2017-06-01	-26.46	1061
2022-01-13	2024-02-23	-22.35	772
2006-05-10	2006-10-13	-15.41	157
2004-02-18	2004-09-30	-13.84	226
2007-07-13	2007-09-26	-12.78	76
2013-05-09	2013-09-13	-11.53	128